六变量的模型,AB型SVAR,B约束成单位对角矩阵。是按照k(k-1)/2=15个约束条件设置的矩阵。对A矩阵做了下面的约束,已经满足识别要求:
1 NA NA NA 0 0
0 1 NA NA NA NA
0 NA 1 0 0 0
0 0 NA 1 NA NA
0 0 0 0 1 NA
0 0 0 0 NA 1
B矩阵:
NA 0 0 0 0 0
0 NA 0 0 0 0
0 0 NA 0 0 0
0 0 0 NA 0 0
0 0 0 0 NA 0
0 0 0 0 0 NA
但是估计时会提示:
Hessian of Structural VAR likelihood is singular at starting values. Reset starting values or respecify restrictions to ensure that the model is locally identified. 。。。。